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Generalized long memory processes, failure of cointegration tests and exchang...
This paper presents evidence that the equilibrium relationship in a system of nominal exchange rates is best described as a stationary GARMA process. The implementation of the... -
Permanent vs transitory components and economic fundamentals (replication data)
Any non-stationary series can be decomposed into permanent (or trend) and transitory (or cycle) components. Typically some atheoretic pre-filtering procedure is applied to... -
Structural break threshold VARs for predicting US recessions using the spread...
This paper proposes a model to predict recessions that accounts for non-linearity and a structural break when the spread between long- and short-term interest rates is the... -
A joint model for the term structure of interest rates and the macroeconomy (...
We present and estimate a continuous time term structure model that incorporates observable macroeconomic variables and latent variables with a clear macroeconomic... -
Tests of seasonal integration and cointegration in multivariate unobserved co...
This paper considers tests of seasonal integration and cointegration for multivariate unobserved component models. First, the locally best invariant (LBI) test of the null... -
Estimating an economic model of crime using panel data from North Carolina (r...
This paper replicates the Cornwell and Trumbull (1994) estimation of a crime model using panel data on 90 counties in North Carolina over the period 1981-1987. While the Between... -
Estimating the effect of smoking on birth outcomes using a matched panel data...
Estimating the casual effect of smoking on birth outcomes is difficult since omitted (unobserved) variables are likely to be correlated with a mother's decision to smoke. While... -
Country-Specific Euro Area Government Bond Yield Reactions to ECB's Non-Stand...
This paper employs event study methods to evaluate the effects of ECB's non-standard monetary policy program announcements on 10-year government bond yields of 11 euro area...
